文档介绍：Page iii
Active Portfolio Management
A Quantitative Approach for Providing Superior Returns and Controlling Risk
Richard C. Grinold
Ronald N. Kahn
SECOND EDITION
Page vii
CONTENTS
Preface xi
Acknowledgments xv
Chapter 1 1
Introduction
Part One
Foundations
Chapter 2 11
Consensus Expected Returns: The Capital Asset Pricing Model
Chapter 3 41
Risk
Chapter 4 87
Exceptional Return, Benchmarks, and Value Added
Chapter 5 109
Residual Risk and Return: The Information Ratio
Chapter 6 147
The Fundamental Law of Active Management
Part Two
Expected Returns and Valuation
Chapter 7 173
Expected Returns and the Arbitrage Pricing Theory
Page viii
Chapter 8 199
Valuation in Theory
Chapter 9 225
Valuation in Practice
Part Three
Information Processing
Chapter 10 261
Forecasting Basics
Chapter 11 295
Advanced Forecasting
Chapter 12 315
Information Analysis
Chapter 13 347
The Information Horizon
Part Four
Implementation
Chapter 14 377
Portfolio Construction
Chapter 15 419
Long/Short Investing
Chapter 16 445
Transactions Costs, Turnover, and Trading
Chapter 17 477
Performance Analysis
Page ix
Chapter 18 517
Asset Allocation
Chapter 19 541
Benchmark Timing
Chapter 20 559
The Historical Record for Active Management
Chapter 21 573
Open Questions
Chapter 22 577
Summary
Appendix A 581
Standard Notation
Appendix B 583
Glossary
Appendix C 587
Return and Statistics Basics
Index 591
Page xi
PREFACE
Why a second edition? Why take time from busy lives? Why devote the energy to improving an
existing text rather than writing an entirely new one? Why toy with ess?
The short answer is: our readers. We have been extremely gratified by Active Portfolio
Management's reception in the munity. The book seems to be on the shelf of every
practicing or aspiring quantitatively oriented investment manager, and the shelves of many
fundamental portfolio managers as well.
But while our readers have clearly valued